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CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	4.1215	6.38***
αARCH	0.2423	8.78***
βGARCH	0.6487	21.04***

γ₁	0.1070	1.67*
γ₂	-0.1833	-1.70*
γ₃	0.1555	1.37
γ₄	-0.0050	-0.04
γ₅	-0.2608	-2.59***
γ₆	0.4284	4.80***
γ₇	-0.4263	-4.10***
γ₈	0.3204	3.62***
γ₉	-0.1874	-2.83***
γ₁₀	0.0343	0.83

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1215	6.38***
α ARCH Response to squared shocks	0.2423	8.78***
β GARCH Volatility persistence	0.6487	21.04***

γ₁	0.1070	1.67*
γ₂	-0.1833	-1.70*
γ₃	0.1555	1.37
γ₄	-0.0050	-0.04
γ₅	-0.2608	-2.59***
γ₆	0.4284	4.80***
γ₇	-0.4263	-4.10***
γ₈	0.3204	3.62***
γ₉	-0.1874	-2.83***
γ₁₀	0.0343	0.83

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